statsmodels.tsa.tsatools.lagmat2ds(x, maxlag0, maxlagex=None, dropex=0, trim='forward', use_pandas=False)[source]

Generate lagmatrix for 2d array, columns arranged by variables

xarray_like, 2d

2d data, observation in rows and variables in columns


for first variable all lags from zero to maxlag are included

maxlagexNone or int

max lag for all other variables all lags from zero to maxlag are included

dropexint (default is 0)

exclude first dropex lags from other variables for all variables, except the first, lags from dropex to maxlagex are included

  • ‘forward’ : trim invalid observations in front

  • ‘backward’ : trim invalid initial observations

  • ‘both’ : trim invalid observations on both sides

  • ‘none’ : no trimming of observations

use_pandasbool, optional

If true, returns a DataFrame when the input is a pandas Series or DataFrame. If false, return numpy ndarrays.

lagmat2d array

array with lagged observations, columns ordered by variable


Inefficient implementation for unequal lags, implemented for convenience